Interest Rates Term Structure Models Driven by Hawkes Processes
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Publication:6070672
DOI10.1137/22m1502604zbMath1530.91580OpenAlexW4387705181MaRDI QIDQ6070672
Guillaume Bernis, Carlo Sgarra, Matthieu Garcin, Simone Scotti
Publication date: 23 November 2023
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/22m1502604
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
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